信息不对称与信息风险定价——来自A股上市公司盈余公告的证据  

Information Asymmetry and Pricing of Information Risk——The Evidencefrom Earnings Announcement of A- Share Listed Companies

作　　者：邵原[1] 

机构地区：[1]上海交通大学上海高级金融学院,上海200030

出　　处：《山西财经大学学报》2016年第7期26-38,共13页Journal of Shanxi University of Finance and Economics

摘　　要：基于2002-2014年中国A股上市公司在发布年度盈余公告前后事件窗口内的股价和交易量表现,提出一个理论模型来解释信息不对称以及个人投资者不充分反应,对于投资者交易行为及股票价格的影响。此外,模型还考虑了卖空限制并衍生出新的实证推论。实证结果表明,信息不对称以及个人投资者的不充分反应,很大程度上解释了不同类型投资者的交易行为以及市场价格的表现;基于盈余信息不对称的信息风险具有显著的定价能力。Based on market price and volume pattern around earnings announcement of A- Share listed companies from 2002 to 2014,this paper proposes a theoretical model to explain the effect of information asymmetry and investors under- reaction on market price and investors trading behaviora Also,the model takes into account the shcrt- sale constraint and derives testable empirical hypotheses.The empirical results confirm the empirical hypotheses and show that information asymmetry and investors under- reaction jointly explain the investors trading behaviors and price pattern around announcement.Furthermore,this paper shows that information asymmetry based on earnings numbers has significant pricing power.

关 键 词：信息不对称 信息风险定价 卖空限制 盈余公告后漂移 

分 类 号：F832.5[经济管理—金融学]